Correlated random effects models with unbalanced panels

A-Tier
Journal: Journal of Econometrics
Year: 2019
Volume: 211
Issue: 1
Pages: 137-150

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I propose some strategies for allowing unobserved heterogeneity to be correlated withobserved covariates and sample selection for unbalanced panels. The methods are extensions of the Chamberlain–Mundlak approach for balanced panels when explanatory variables are strictly exogenous conditional on unobserved effects. A byproduct is fully robust Hausman tests for unbalanced panels. Even for nonlinear models, in many cases the estimators can be implemented using standard software. The framework suggests straightforward tests for sample selection that is correlated with unobserved shocks while allowing selection to be correlated with the observed covariates and unobserved heterogeneity.

Technical Details

RePEc Handle
repec:eee:econom:v:211:y:2019:i:1:p:137-150
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29